| Publication | Date of Publication | Type |
|---|
| A tail-revisited Markowitz mean-variance approach and a portfolio network centrality | 2022-10-24 | Paper |
| Bias-optimal vol-of-vol estimation: the role of window overlapping | 2022-06-17 | Paper |
| The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications | 2021-06-07 | Paper |
| Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach | 2019-02-11 | Paper |
| Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model | 2018-11-19 | Paper |
| A calibration procedure for analyzing stock price dynamics in an agent-based framework | 2018-08-13 | Paper |
| From bond yield to macroeconomic instability: a parsimonious affine model | 2017-12-06 | Paper |
| A PERTURBATIVE APPROACH TO ACOUSTIC SCATTERING FROM A VIBRATING BOUNDED OBSTACLE | 2017-05-09 | Paper |
| Fourier-Malliavin Volatility Estimation | 2017-01-06 | Paper |
| An explicitly solvable Heston model with stochastic interest rate | 2016-10-07 | Paper |
| A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies | 2015-01-28 | Paper |
| The use of statistical tests to calibrate the normal SABR model | 2013-09-26 | Paper |
| The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility | 2012-06-19 | Paper |
| A gradient like algorithm for linearly constrained multi-objective optimization | 2012-06-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3068487 | 2011-01-15 | Paper |
| A method to solve an acoustic inverse scattering problem involving smart obstacles | 2010-07-30 | Paper |
| Determining a stable relationship between hedge fund index HFRI-Equity and S&P 500 behaviour, using filtering and maximum likelihood | 2010-01-26 | Paper |
| Pricing realized variance options using integrated stochastic variance options in the heston stochastic volatility model | 2009-07-03 | Paper |
| Analysis of quadrature methods for pricing discrete barrier options | 2009-05-18 | Paper |
| A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term | 2009-03-09 | Paper |
| A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics | 2009-02-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3538711 | 2008-11-24 | Paper |
| Box-constrained multi-objective optimization: A gradient-like method without ``a priori scalarization | 2008-03-11 | Paper |
| Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds | 2007-12-17 | Paper |
| A numerical method to solve an acoustic inverse scattering problem involving ghost obstacles | 2007-07-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3437616 | 2007-05-09 | Paper |
| Optimal-control methods for two new classes of smart obstacles in time-dependent acoustic scattering | 2007-03-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5482740 | 2006-08-28 | Paper |
| Direct and inverse acoustic scattering problems involving smart obstacles | 2006-04-28 | Paper |
| Spectral concentration phenomena for the Laplace operator with the Dirichlet boundary condition on a cavity | 2005-09-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4654816 | 2005-03-10 | Paper |
| Furtivity and masking problems in time-dependent electromagnetic obstacle scattering. | 2005-01-11 | Paper |
| A path following method for box-constrained multiobjective optimization with applications to goal programming problems | 2004-03-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4450204 | 2004-02-15 | Paper |
| The Use of Wavelets in the Operator Expansion Method for Time-Dependent Acoustic Obstacle Scattering | 2004-01-20 | Paper |
| A new formalism for time-dependent electromagnetic scattering from a bounded obstacle | 2004-01-14 | Paper |
| A hybrid method for pricing European options based on multiple assets with transaction costs | 2002-09-04 | Paper |
| Quadratically convergent method for simultaneously approaching the roots of polynomial solutions of a class of differential equations: Application to orthogonal polynomials | 2002-03-26 | Paper |
| An interior point algorithm for global optimal solutions and KKT points | 2002-02-07 | Paper |
| Monotone variable-metric algorithm for linearly constrained nonlinear programming | 2001-06-24 | Paper |
| The use of the Pontryagin maximum principle in a furtivity problem in time-dependent acoustic obstacle scattering. | 2001-01-01 | Paper |
| A stochastic algorithm for constrained global optimization | 2000-09-14 | Paper |
| Time harmonic electromagnetic scattering from a bounded obstacle: An existence theorem and a computational method | 2000-08-16 | Paper |
| Inverse problem for a class of two-dimensional diffusion equations with piecewise constant coefficients | 1999-12-17 | Paper |
| Hamilton-based Numerical Methods for a Fluid-Membrane Interaction in Two and Three Dimensions | 1998-05-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4370911 | 1998-04-02 | Paper |
| The time harmonic electromagnetic field in a disturbed half-space: An existence theorem and a computational method | 1998-01-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4352298 | 1997-08-28 | Paper |
| Three-dimensional time harmonic electromagnetic inverse scattering: The reconstruction of the shape and the impedance of an obstacle | 1997-07-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5688493 | 1997-03-11 | Paper |
| Modified Newton method in circular interval arithmetic | 1996-02-06 | Paper |
| Asymptotic eigenvalue degeneracy for a class of three-dimensional Fokker–Planck operators | 1995-01-01 | Paper |
| A quadratically convergent method for linear programming | 1991-01-01 | Paper |
